The European Banking Authority (EBA) launched today a qualitative survey on internal ratings-based (IRB) models to analyse the impact of the EBA draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets (Guidelines hereafter), which are currently under consultation. These Guidelines are part of the broader review of the IRB approach that is carried out by the EBA to reduce the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements. Institutions are invited to submit their responses to this survey by 27January. 

 

This qualitative survey is addressed to all institutions which use the IRB approach for credit risk. It contains detailed questions about banks' modelling practices for estimating PDs, LGDs, LGD in-default and expected loss best estimate (ELBE). The main objective of this survey is to assess the impact of the Guidelines in terms of expected amount and severity of model changes. 

 

All institutions using the Internal Ratings Based (IRB) approach for credit risk are invited to participate in the survey.

 

To ensure that the EBA gains insight into modelling practices across all exposure classes -both high- and low-default portfolios – and receives feedback from a representative sample of models, institutions are invited to fill in the survey for at least their three main PD and LGD models.

 

Responses should be sent by Friday 27 January to EBA-IRBsurvey@eba.europa.eu.